Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Jan 06 (1D) Jan 07 (2D) Jan 08 (3D) Jan 09 (4D) Jan 12 (7D) Jan 13 (8D) Jan 14 (9D) Jan 15 (10D) Jan 16 (11D) Jan 19 (14D) Jan 23 (18D) Jan 30 (25D) Feb 06 (32D) Feb 13 (39D) Feb 20 (46D) Feb 27 (53D) Mar 06 (60D) Mar 13 (67D) Mar 20 (74D) Mar 27 (81D)
lower 683.327 681.114 679.416 677.984 674.535 673.559 672.642 671.775 670.951 668.680 666.004 661.958 658.449 655.307 652.437 649.778 647.289 644.942 642.714 640.590
upper 694.011 696.224 697.921 699.353 702.803 703.778 704.695 705.562 706.386 708.657 711.333 715.379 718.888 722.030 724.901 727.560 730.048 732.396 734.623 736.748
expected move 5.342 7.555 9.253 10.684 14.134 15.110 16.026 16.893 17.718 19.988 22.665 26.711 30.219 33.361 36.232 38.891 41.380 43.727 45.954 48.079
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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